scholarly journals Analisis Securities Selection Skill dan Market Timing Ability Pada Kinerja Reksadana Syariah Campuran Di Bursa Efek Indonesia

2017 ◽  
Vol 2 (3) ◽  
pp. 215
Author(s):  
Marta Dwi Yana ◽  
Nur Indah Riwajanti ◽  
Fita Setiati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Market Timing ◽  
Sharpe Ratio ◽  
Continuous Training ◽  
Financial Service Authority ◽  
Purposive Sampling ◽  
Timing Ability ◽  
Investment Manager

<p><em></em><em>Abstract:</em></p><p><em>This research aims to measure the performance of the investment manager of Sharia mutual fund by analyzing his securities selection skill and market timing ability based on Treynor-Mazuy and Henriksson-Merton model. The population in this research are 93 mutual funds listed in Indonesian Stock Exchange from 2014 to 2016. The samples are 13 Sharia’s mutual fund taken by using purposive sampling techniques. This research uses regression method. The results show that the Sharpe Ratio indicates out of thirteen mutual funds, there are only four mutual funds that performed well, while nine other mutual funds were underperformed. The result based on the model of Treynor-Mazuy and Henriksson-Merton indicate that the investment managers did not have the securities selection skill and market timing ability. It is suggested that Financial Service Authority should hold continuous training for the investment managers and should issue a new certification specifically for the investment manager by increasing the standard of competence.</em></p><p>Abstrak:</p><p>Penelitian ini bertujuan untuk mengukur kinerja manajer investasi reksadana syariah dengan menganalisis <em>securities selection skill</em> dan <em>market timing ability </em>berdasarkan model Treynor-Mazuy dan Henriksson-Merton. Populasi dalam penelitian ini adalah 93 reksadana yang terdaftar di Bursa Efek Indonesia dari tahun 2014 sampai 2016. Sampelnya adalah 13 reksa dana syariah yang diambil dengan teknik purposive sampling. Penelitian ini menggunakan metode regresi. Hasil penelitian analisis Sharpe Ratio menunjukkan dari tiga belas reksa dana, hanya ada empat reksadana yang berjalan baik, sementara sembilan reksa dana lainnya kinerjanya kurang. Sedangkan berdasarkan model Treynor-Mazuy dan Henriksson-Merton menunjukkan bahwa manajer investasi tidak memiliki keahlian pemilihan sekuritas dan kemampuan waktu pasar. Selanjutnya, disarankan agar Otorita Jasa Keuangan mengadakan pelatihan terus menerus bagi manajer investasi dan perlu mengeluarkan sertifikasi baru khusus untuk manajer investasi untuk meningkatkan standar kompetensi.</p><p><em><br /></em></p>

scholarly journals PENGARUH STOCK SELESCTION SKIIL, MARKET TIMING ABILITY, TURNOVER RATIO DAN CASH FLOW TERHADAP KINERJA REKSA DANA SYARIAH

2019 ◽  
Vol 1 (01) ◽  
pp. 45-55
Author(s):  
Mega Mustika Sari ◽  
Sri Mulyati ◽  
Estu Widarwati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Coefficient Of Determination ◽  
Research Report ◽  
Stock Selection ◽  
Turnover Ratio ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Investment Manager

Mutual funds syariah are other investment opportunities with measurable risk and return is high enough with enough capital affordable to the community. Mutual funds syariah have an Investment Manager with the ability and knowledge of the market it is or will happen. Therefore, mutual funds syariah selected by investors because it is cheap, easy and "managed by the experts". This research analysted do stock selection skill, market timing ability, Turnover ratio and Cashflow can influence the performance of equity mutual funds syariah in Indonesia. The data used in this research are data on financial statements , Net Asset Value (NAV), SBI, IHSG, yearly data and prospectus of 10 equity mutual fund syariah that were sampled during this research report from 2011-2014. As a research methodology, we used F test and t test to examine research’s hypothesis, also used assumption classic test there are normality test, autocorrelation test, heteroscedasticity test and multicolinearity test. These results can be viewed on multiple regression analysis and the coefficient of determination, the R value of 0.513 means the relation between the stock selection skill, market timing ability, Turnover ratio and Cashflow to profitability by 51.3%, meaning that the relationship between variables was most closely. Adjusted R Square value of 0.545 which means 54,5% achievement of profitability can be explained by the stock selection skill, market timing ability, Turnover ratio and Cashflow. The remaining 45,5% can be explained by other factors not examined in this research..

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

scholarly journals ASPEK HUKUM REKSA DANA KONTRAK INVESTASI KOLEKTIF SEBAGAI TRUSTS [Legal Aspects of Mutual Funds in the Form of Collective Investment Contracts as Trusts]

Law Review ◽  
2020 ◽  
Vol 20 (2) ◽  
pp. 246
Author(s):  
Yosephus Mainake
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Legal Aspects ◽  
Comparative Approach ◽  
Legal Tradition ◽  
Anglo Saxon ◽  
Conceptual Approach ◽  
Investment Manager

<p><em>The Capital Market Law, which carries with it the trust institutions, contains provisions regarding collective investment contract mutual funds (RD KIK) that produce securities in the form of participation units, which are traded on the stock exchange. In RD KIK, there is a trust relationship between the unit holder of the custodian bank and the investment manager. The legal relationship in the concept of collective RD KIK is similar to what happens in trusts. In the Anglo-Saxon legal tradition, mutual funds are often referred to as unit trusts and/or investment trusts, where the sponsor acts as a settlor who hands over his assets to the trustee, the sponsor acts as the settlor in the trusts as well as the unit holder in a collective investment contract mutual fund. In connection with these problems, normative legal research is carried out using a statute approach, a conceptual approach and a comparative approach. The method used in analyzing this research is qualitative analysis. So, it can be seen that the role of the custodian bank and investment manager acts as a trustee, where the custodian bank is given the authority to carry out collective custody of the assets of the joint investment contract unit holder. The investment manager is given the power to manage or control the assets submitted by the sponsor or settlor in the concept of trusts law. Thus, it can be said that the RD KIK concept is similar to the idea of trusts because it fulfills the elements of trusts.</em></p><p><strong>Bahasa Indonesia Abstrak: </strong>Undang-Undang Pasar Modal yang membawa serta pranata <em>trust</em> di dalamnya terdapat ketentuan mengenai reksa dana kontrak investasi kolektif (RD KIK) yang melahirkan efek dalam bentuk unit penyertaan, yang diperdagangkan di bursa efek. Dalam RD KIK, terdapat hubungan kepercayaan antara pemegang unit penyertaan terhadap bank kustodian dan manajer investasi. Hubungan hukum dalam konsep RD KIK kolektif ini mirip yang terjadi dalam <em>trusts</em>. Dalam tradisi hukum Anglo Saxon, reksa dana sering kali disebut dengan <em>unit trusts</em> dan atau <em>investment trust</em>, yaitu sponsor bertindak sebagai settlor yang menyerahkan harta kebendaanya kepada <em>trustee</em>, sponsor sebagai <em>settlor</em> dalam <em>trusts</em> sama halnya dengan pemegang unit penyertaan dalam reksa dana kontrak investasi kolektif. Sehubungan dengan permasalahan tersebut, dengan ini dilakukan penelitian hukum normatif dengan menggunakan pendekatan undang-undang, pendekatan konseptual dan pendekatan perbandingan. Cara yang digunakan dalam menganalisis penelitian ini yakni analisis kualitatif. Maka dapat dilihat bahwa peran bank kustodian dan manajer investasi bertindak sebagai <em>trustee</em>, di mana bank kustodian diberi wewenang untuk melaksanakan penitipan kolektif terhadap harta pemegang unit kontrak investasi kolektif dan manajer investasi diberi wewenang untuk melakukan pengelolaan atau penguasaan terhadap harta yang diserahkan oleh sponsor atau settlor dalam konsep hukum <em>trusts</em>. Dengan demikian, dapat dikatakan bahwa konsep RD KIK mirip dengan konsep <em>trusts</em> karena telah memenuhi unsur-unsur <em>trusts</em>.</p><p><strong>Kata Kunci: Reksa Dana Kontrak Investasi Kolektif, <em>Trusts</em></strong></p>

scholarly journals KINERJA MANAJER INVESTASI REKSADANA SAHAM SYARIAH DI INDONESIA

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
ANITA ANITA
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Market Performance ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Stock Selection ◽  
Purposive Sampling ◽  
Merton Model ◽  
Positive Effect

The purpose of this study is to test the ability of investment managers in Islamic mutual funds in their ability to conduct stock selection and market timing. The model developed in this study uses the Henriksson-Merton model. With purposive sampling technique obtained a sample of 31 mutual funds. After testing the results obtained, the performance of Islamic stock mutual funds in Indonesia underperformed compared to the ISSI market performance. The stock selection results contribute negatively to α = 5%, while the ability of market timing has a significant positive effect on mutual fund returns.

scholarly journals Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe, Trenyor Dan Jensen Pada Periode Januari 2014 Sampai Desember 2015

2019 ◽  
Vol 2 (2) ◽  
Author(s):  
Methirana Dan Indra Widjaja
Keyword(s):  
Data Collection ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Return On Investment ◽  
Research Method ◽  
Stock Exchange ◽  
Investment Policy ◽  
Objective Performance ◽  
Equity Funds ◽  
Investment Manager

The purpose of the research is to analyze the types of equity funds in the stock market and analyze the performance of the funds equity method using sharpe, trenyor methods, and methods of jensen. The research method used is the method of data collection and processing of data by calculation in accordance with methods of sharpe, treynor method and methods of jensen. Method of data collection is composed of effective data from the website of the stock exchange. Calculation method consists of a method of sharpe, treynor method, and methods of jensen. The benefits of this comparison can give you an idea about the objective performance of mutual funds in Indonesia as one of the considerations for investors and potential investors in choosing the best mutual fund, and to an investment manager with the research expected to provide knowledge about the Investment Manager on the performance that they do. In addition to knowing the competition industry mutual funds in Indonesia so as to provide a reference for an investment manager as a determinant of investment policy to increase the return on investment and minimize risk. As well as for the community Provide knowledge and information on the performance of mutual funds in Indonesia.

scholarly journals Kinerja Investasi Exchange Trade Fund di Indonesia

2021 ◽  
Vol 31 (7) ◽  
pp. 1632
Author(s):  
Gayatri Gayatri ◽  
Ni Luh Sari Widhiyani
Keyword(s):  
Stock Exchange ◽  
Market Timing ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Multiple Linear Regression Analysis ◽  
Stock Selection ◽  
Timing Ability ◽  
Investment Manager ◽  
Fund Size ◽  
Positive Effect

The aim of this research is to obtain empirical evidence about the effect of stock selection skills, market timing ability, fund size and fund age on the performance of exchange trade funds. The population in this study are all exchange trade fund investment products listed on the Indonesia Stock Exchange from 2017 to 2019. The sampling technique uses purposive sampling. To test the hypothesis, multiple linear regression analysis was used. This study proves that stock selection skills have a positive effect on the performance of exchange trade funds in Indonesia. Meanwhile, market timing ability, fund size and fund age do not have a positive effect on the performance of exchange trade funds in Indonesia. The reason is that only one investment manager PT. Indo Premier Investment Management which is always active in trading exchange trade funds in Indonesia. This research has implications for the more active investment managers in offering exchange trade fund products to attract investors because they are able to survive in times of crisis. Keywords: Exchange Trade Funds; Investation.

Mutual fund alpha and daily market-timing ability

2019 ◽  
Vol 36 (4) ◽  
pp. 662-681
Author(s):  
Qiang Bu
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Design Methodology ◽  
Market Timing ◽  
Content Type ◽  
Market Return ◽  
Timing Ability

Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

scholarly journals THE EVALUATION OF MUTUAL FUND PERFORMANCE IN LITHUANIA CONSIDERING RISK AND TIMING ABILITY / LIETUVOS INVESTICINIŲ FONDŲ VEIKLOS VERTINIMAS, ATSIŽVELGIANT Į RIZIKĄ IR SAVALAIKIŠKUMĄ

2011 ◽  
Vol 3 (4) ◽  
pp. 5-12 ◽  
Author(s):  
Irma Gavrilova
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Specific Knowledge ◽  
Fund Managers ◽  
Investment Return ◽  
Timing Ability

Over the last decade, Lithuania has witnessed a growing interest in investment promoted by the need to successfully manage available funds. Direct investments (e. g. buying and selling stocks) require a specific knowledge of investment instruments. Therefore, an ordinary investor finds investment in mutual funds easier and cheaper. Usually the most important questions to the investor include measuring the results of a fund and the quality of the actions performed by the fund managers. The article evaluates the rates of mutual fund performance and identifies their shortages. The methods for evaluating investment return according to the level of risk and timing ability of the fund managers are presented using the Sharpe ratio and Treynor-Mazuy model on the basis of which mutual funds in Lithuania are analyzed. Santrauka Paskutinįjį dešimtmetį Lietuvoje pastebimas žmonių susidomėjimo investavimu augimas – tai skatina poreikis sėkmingai „įdarbinti“ turimas laisvas lėšas. Investuoti tiesiogiai (perkant atskirų įmonių akcijas ir pan.) daug kam yra pernelyg sudėtinga (reikia specialių žinių apie įvairius investavimo objektus, gilios rinkos analizės), be to, dažnai tiesiogiai investuoti yra gana brangu, todėl ne vienas žmogus pasirenka sprendimą – investuoti į fondus. Fondų dalyviams aktualiausia, kaip tinkamai vertinti fondų rezultatus. Straipsnyje identifikuojami investicinių fondų valdymo įmonių naudojami veiklos vertinimo rodikliai bei jų trūkumai. Pateikiamas investicinių fondų veiklos vertinimo, atsižvelgiant į riziką ir savalaikiškumą, metodas naudojant Šarpo bei Treynoro ir Mazuy rodiklius. Remiantis rodikliais atlikta Lietuvos investicinių fondų grąžos bei fondų valdytojų efektyvumo analizė.

ANALISIS DATA PANEL PADA KINERJA REKSADANA SAHAM

Jurnal Varian ◽  
2018 ◽  
Vol 1 (2) ◽  
pp. 59-69
Author(s):  
I Gede Agus Astapa ◽  
Gede Suwardika ◽  
I Ketut Putu Suniantara
Keyword(s):  
Mutual Funds ◽  
Random Effects ◽  
Mutual Fund ◽  
Fixed Effects ◽  
Risk Model ◽  
Panel Data Analysis ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Level Of Risk

Mutual funds is another investment opportunity with a more measurable risk as well as return high enough with enough capital is affordable for the community. Mutual fund performance can be measured by several indicators.. Modeling the performance of mutual funds modeled by regression of the data panel. The regression model estimation data panel will do with the three approaches, namely the approach of common effect, fixed effects and random effects. This research purpose to know the performance of mutual funds from stock selection skill variable influences, market timing ability and level of risk with the use of panel data analysis. The results shows that the Fund's performance is affected by the stock selection skill, market timing ability, and the level of risk. Model the right approach to model the performance of mutual funds by using a random effects model.

scholarly journals Mutual fund Performance in Nepalese Mutual fund units: An analysis of Monthly Returns

2017 ◽  
Vol 3 (2) ◽  
pp. 92-100
Author(s):  
Rajan Bilas Bajracharya
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Statistical Models ◽  
Stock Exchange ◽  
Academic Research ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Small Market

Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced its unique risk.  Journal of Advanced Academic Research Vol. 3, No. 2, 2016, Page: 92-100

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